Once you open up Sonar, you will notice some changes in each of the Channel columns. If you look at the Game channel, for example, you will see the active audio preset, and below it, the current device.
Clicking on the name of the device expands a new menu. At a glance, you can see what devices are tied to the Game output, with the currently active one at the top.
You may freely drag and drop these devices to switch the active one, as well as order them by your priority.
You can also drag the devices lower to the Excluded Devices section to disable them.
To the left of the device name, you will see a chain icon. It's a shortcut to make that device apply to all the output channels (which excludes the Mic), so you don't have to manually switch over each channel.
Click on the blue "Device Manager" button to see a new screen with more details.
Detailed Device Manager View